scientific article; zbMATH DE number 1897410
From MaRDI portal
Recommendations
- Limit theorems for prices of options written on semi-Markov processes
- Option pricing bounds in an a α stable security market
- scientific article; zbMATH DE number 1487767
- Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
- scientific article; zbMATH DE number 1129914
- Comparison of option prices in semimartingale models
- On the duality principle in option pricing: semimartingale setting
- Forward equations for option prices in semimartingale models
Cited in
(26)- Bounds on option prices in point process diffusion models
- Recurrence relations for price bounds of contingent claims in discrete time market models
- Model-independent bounds for option prices -- a mass transport approach
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Tractable hedging: An implementation of robust hedging strategies
- Consistent upper price bounds for exotic options
- Forward equations for option prices in semimartingale models
- Comparison results for GARCH processes
- The martingale comparison method for Markov processes
- On the Pricing of American Options in Exponential Lévy Markets
- Expensive martingales
- On some semi-parametric estimates for European option prices
- Distribution-free option pricing
- A new elementary geometric approach to option pricing bounds in discrete time models
- Limit theorems for prices of options written on semi-Markov processes
- scientific article; zbMATH DE number 1897412 (Why is no real title available?)
- Translation invariant statistical experiments with independent increments
- Bounds for path-dependent options
- Comparison of option prices in semimartingale models
- Semiparametric bounds of mean and variance for exotic options
- Testing hypotheses for measures with different masses: Four optimization problems
- Solving the problem of partial hedging through a dual problem
- Convex ordering criteria for Lévy processes
- Comparison of semimartingales and Lévy processes
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- \( G\)-expectation approach to stochastic ordering
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4802405)
